Path regularity of coupled McKean-Vlasov FBSDEs
Probability
2020-11-16 v1
Abstract
This paper establishes H\"{o}lder time regularity of solutions to coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). This is not only of fundamental mathematical interest, but also essential for their numerical approximations. We show that a solution triple to a MV-FBSDE with Lipschitz coefficients is 1/2-H\"{o}lder continuous in time in the -norm provided that it admits a Lipschitz decoupling field. Special examples include decoupled MV-FBSDEs, coupled MV-FBSDEs with a small time horizon and coupled stochastic Pontryagin systems arsing from mean field control problems.
Keywords
Cite
@article{arxiv.2011.06664,
title = {Path regularity of coupled McKean-Vlasov FBSDEs},
author = {Christoph Reisinger and Wolfgang Stockinger and Yufei Zhang},
journal= {arXiv preprint arXiv:2011.06664},
year = {2020}
}
Comments
The results in this paper replace Sections 2 and 5 of arXiv:2009.08175v1